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Incorporating Diversification into Risk Management

  • Amiyatosh Purnanandam
  • Mitch Warachka
  • Yonggan Zhao
  • William T. Ziemba
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

Risk measurement is of fundamental importance to financial practice. Given the widespread usage of Value-at-Risk (VaR), firms actively manage their risk. Unfortunately, VaR is not derived from fundamental economic principles and may lead to sub-optimal decisions as shown by Shapiro and Basak (2001).

Keywords

Risk Measure Optimal Portfolio Risky Asset Insurance Contract Future Contract 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao and William T. Ziemba 2007

Authors and Affiliations

  • Amiyatosh Purnanandam
  • Mitch Warachka
  • Yonggan Zhao
  • William T. Ziemba

There are no affiliations available

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